Could you try using the spacebar to trigger Play, so you can set to built-in output and unplug the HDMI then press the spacebar? This means the audio is not interrupted by disconnecting the HDMI while it is trying to play (you are starting play with the built-in output active).
Let me know if this works or not.
(I would have thought that the audio should be able to go out the built-in speaker while still connected to the HDMI for your screen though.)
You could also set up iTunes or some audio player and see if the internal speaker plays with those (not out the HDMI).
Thanks.